On bias reduction and incidental parameters

N Lunardon

Biometrika, 2018, vol. 105, issue 1, 233-238

Abstract: Summary Firth (1993) introduced a method for reducing the bias of the maximum likelihood estimator. Here it is shown that the approach is also effective in reducing the sensitivity of inferential procedures to incidental parameters.

Keywords: Bartlett identity; Binary matched pairs; Modified profile likelihood; Two-index asymptotics (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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